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Notes on the Frank-Wolfe algorithm, Part I

Category: optimization
#optimization #Frank-Wolfe

$$ \def\xx{\boldsymbol x} \def\yy{\boldsymbol y} \def\ss{\boldsymbol s} \def\dd{\boldsymbol d} \DeclareMathOperator*{\argmin}{{arg\,min}} \DeclareMathOperator*{\minimize}{{minimize}} \DeclareMathOperator*{\diam}{{diam}} $$

This blog post is the first in a series discussing different theoretical and practical aspects of the Frank-Wolfe algorithm.

Outline:
The Frank-Wolfe Algorithm
Example …

Optimization inequalities cheatsheet

Category: optimization
#optimization #cheatsheet

Most proofs in optimization consist in using inequalities for a particular function class in some creative way. This is a cheatsheet with inequalities that I use most often. It considers class of functions that are convex, strongly convex and $L$-smooth.

Setting. $f$ is a function $\mathbb{R}^p \to …

A fast, fully asynchronous variant of the SAGA algorithm

Category: optimization
#optimization #asynchronous #SAGA

My friend Rémi Leblond has recently uploaded to ArXiv our preprint on an asynchronous version of the SAGA optimization algorithm.

The main contribution is to develop a parallel (fully asynchronous, no locks) variant of the SAGA algorighm. This is a stochastic variance-reduced method for general optimization, specially adapted for problems …

Hyperparameter optimization with approximate gradient

Category: optimization
#machine learning #hyperparameters #HOAG

TL;DR: I describe a method for hyperparameter optimization by gradient descent.

Most machine learning models rely on at least one hyperparameter to control for model complexity. For example, logistic regression commonly relies on a regularization parameter that controls the amount of $\ell_2$ regularization. Similarly, kernel methods also have hyperparameters …

Lightning v0.1

Category: misc
#Python #scikit-learn #machine learning #lightning

Announce: first public release of lightning!, a library for large-scale linear classification, regression and ranking in Python. The library was started a couple of years ago by Mathieu Blondel who also contributed the vast majority of source code. I joined recently its development and decided it was about time for …

scikit-learn-contrib, an umbrella for scikit-learn related projects.

Category: misc
#Python #scikit-learn #machine learning #lightning

Together with other scikit-learn developers we've created an umbrella organization for scikit-learn-related projects named scikit-learn-contrib. The idea is for this organization to host projects that are deemed too specific or too experimental to be included in the scikit-learn codebase but still offer an API which is compatible with scikit-learn and …

SAGA algorithm in the lightning library

Category: misc
#Python #scikit-learn #machine learning #lightning

Recently I've implemented, together with Arnaud Rachez, the SAGA[1] algorithm in the lightning machine learning library (which by the way, has been recently moved to the new scikit-learn-contrib project). The lightning library uses the same API as scikit-learn but is particularly adapted to online learning. As for the SAGA …

On the consistency of ordinal regression methods

Category: misc
#consistency #machine learning

My latests work (with Francis Bach and Alexandre Gramfort) is on the consistency of ordinal regression methods. It has the wildly imaginative title of "On the Consistency of Ordinal Regression Methods" and is currently under review but you can read the draft of it on ArXiv. If you have any …

Holdout cross-validation generator

Category: misc
#Python #scikit-learn #machine learning #model selection

Cross-validation iterators in scikit-learn are simply generator objects, that is, Python objects that implement the __iter__ method and that for each call to this method return (or more precisely, yield) the indices or a boolean mask for the train and test set. Hence, implementing new cross-validation iterators that behave as …

IPython/Jupyter notebook gallery

Category: misc
#Python #Jupyter

TL;DR I created a gallery for IPython/Jupyter notebooks. Check it out :-)

Notebook gallery

A couple of months ago I put online a website that displays a collection of IPython/Jupyter notebooks. The is a website that collects user-submitted and publicly available notebooks and displays them with a nice screenshot. The …